Late SOFR/Treasury Option Roundup

Overall session volume on SOFR and Treasury options has been relatively muted this week with many desks partially staffed in the lead-up to Easter Sunday. Others sidelined to await the latest employment data for March scheduled on Friday's shortened session. Better Treasury call structures reported overnight into early NY trade followed by slight pick-up in low delta puts in SOFR options as underlying futures through early 2024 traded weaker - implied rate cuts through year end receding. Salient trade:

• SOFR Options:
  • +5,000 SFRM3 94.93/95.00/95.18 put trees 1.0-1.25
  • -2,500 SFRZ3 94.75/95.50 2x1 put spds, 11.0
  • +1,000 SFRU3 97.00/98.50 1x2 call spds, 7.0
  • Block, 6,000 OQM3 95.87/96.25 3x2 put spds, 10.5 2-legs over ref 96.885
  • 2,500 SFRM3 95.00/95.25/95.50 call flys ref 95.22
  • 3,000 SFRM3 94.62 puts, 1.5 ref 95235
  • 2,200 OQJ3 97.37/97.50 call spds, ref 96.89
• Treasury Options:
  • 2,000 TYK3 114.5 puts, 11 ref 116-17
  • 2,500 TYK3 115/115.75 put spds, 12 ref 116-19.5
  • +4,000 TUK3 103/103.5 put spds, 9.5
  • 1,500 FVK3 111/112/112.5 broken call flys ref 110-27.5
  • 1,500 FVK3 110.75 puts, ref 110-25
  • 2,000 TYK 118 calls, 25 ref 116-17.5
  • 2,000 TUM3 104.75/105 call spds ref 103-28
  • 1,500 FVM3 109 puts, 22 ref 110-28.5
  • 1,300 TYK3 117/118/119 call flys, ref 116-20
  • 2,200 TYK3 118 calls, 25 ref 116-15